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  • Search: subject:"Stochastic clock"
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doubly stochastic binomial point process 1 fractal activity time 1 long range dependent 1 market time deformation 1 stochastic clock 1
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Free 1
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Book / Working Paper 1
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McCulloch, James 1
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Finance Discipline Group, Business School 1
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Research Paper Series / Finance Discipline Group, Business School 1
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Fractal Market Time
McCulloch, James - Finance Discipline Group, Business School - 2012
conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and … absolute value of market returns is a 'stylized fact' and researchers have interpreted this to imply that the stochastic clock … stochastic clock as the stochastic integrated intensity of a doubly stochastic Poisson (Cox) point process of the cumulative …
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